Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0154
Annualized Std Dev 0.1757
Annualized Sharpe (Rf=0%) -0.0874

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1857
Quartile 1 -0.0044
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0047
Maximum 0.1125
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0111
Skewness -1.4227
Kurtosis 31.6109

Downside Risk

Close
Semi Deviation 0.0083
Gain Deviation 0.0081
Loss Deviation 0.0100
Downside Deviation (MAR=210%) 0.0130
Downside Deviation (Rf=0%) 0.0083
Downside Deviation (0%) 0.0083
Maximum Drawdown 0.7110
Historical VaR (95%) -0.0140
Historical ES (95%) -0.0265
Modified VaR (95%) -0.0152
Modified ES (95%) -0.0152
From Trough To Depth Length To Trough Recovery
1999-08-27 2008-12-15 NA -0.7110 5426 2340 NA
1999-01-06 1999-04-19 1999-06-21 -0.0573 115 71 44
1999-08-10 1999-08-10 1999-08-24 -0.0188 11 1 10
1999-07-01 1999-07-02 1999-07-06 -0.0125 3 2 1
1999-06-24 1999-06-24 1999-06-25 -0.0063 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.7 0.7 0.7 0 -0.6 -0.6 0.6 -0.6 0.6 -0.6 -0.6 2 2.1
2000 0 0 0 2.1 0 1.4 0.7 0 -0.7 -0.7 1.4 -1.5 2.7
2001 -1.3 1 -0.3 0.3 -0.7 0.9 -0.2 0 -3.6 1.7 0.8 0.8 -0.8
2002 0 0 0.7 0.9 0 -2.6 1.1 1.3 -0.8 -1.1 0.4 2.5 2.3
2003 0.1 -0.9 0.1 0.1 1.4 0.9 0.7 -0.3 1.1 0.3 0.2 0.4 4.3
2004 0.5 -0.8 0.2 2.1 0.5 -0.6 0.6 0.3 -0.2 0.1 -0.8 0.9 2.9
2005 0 0 -0.2 0.6 0.4 1.4 0.6 -0.4 1.4 1.1 -0.1 0.1 5
2006 0 -0.4 -0.2 0.4 0.1 0.4 0.1 0.4 0.1 0 0.1 0.1 1.1
2007 0.6 -0.7 0.2 0.3 0.2 0 -1.1 1.4 0.5 -1.8 2.7 -0.7 1.7
2008 0 -0.1 0.2 0.3 -0.6 0.3 1.3 -0.3 2.4 2.8 -0.7 4.3 10.1
2009 0.5 -1.4 1.4 0.2 0.4 1.5 0.6 0.4 0.2 -1.2 0.9 -0.2 3.4
2010 -0.6 1.4 0.1 -0.1 0.9 -0.9 1 -0.9 1.6 0.4 1.1 -0.4 3.7
2011 0.7 1.9 1.8 0.1 1.6 1 1.3 2.2 -1.4 -1.2 -0.9 1.1 8.3
2012 0.6 1.3 0.7 0.6 -1 0.4 0 -0.7 0.8 2 -0.7 -1 2.9
2013 0.5 1.4 0 0.9 -1.2 -1.3 -1.2 -1.1 0 -0.7 0.9 -1.1 -3
2014 0 0.4 -0.3 -0.9 0.3 -0.1 -0.3 0.2 0.2 0.3 0 0.5 0.2
2015 0.3 -0.2 -0.2 0 0 0.3 0 -0.2 0 0.2 -0.7 -0.3 -0.7
2016 0.4 1.5 0.3 0 0.2 0.8 -0.3 -0.6 1.1 -0.9 0.3 0.6 3.3
2017 0.1 0.4 0 0.3 0.1 0.9 0.9 0 0.6 -0.3 0 -0.3 2.9
2018 0 0.2 0.1 1 0 -0.5 0 -0.3 0.5 0.8 0.2 0.7 2.6
2019 0.5 -0.2 0.3 0.5 -1.3 0.3 -0.3 0 0 -0.2 0 0.8 0.5
2020 -0.6 -2.4 -2.4 -0.6 1.5 0.8 0.5 0.9 0.3 -0.5 1.3 0.2 -1.2
2021 0.2 0.5 -0.2 NA NA NA NA NA NA NA NA NA 0.5

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Price Chart

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Rolling Performance Chart

Row

Snail Trail Chart